Optimization of consumption with partial observation—Jensen inequality method

Volume 31 / 2004

Grzegorz Hałaj Applicationes Mathematicae 31 (2004), 417-422 MSC: 93E11, 93E20, 60H10, 91B28, 91B70. DOI: 10.4064/am31-4-3

Abstract

A solution to a model of optimal consumption with partial observation considered in [LOS] is presented. The approach is based on the Jensen inequality and does not require application of the filtering equation.

Authors

  • Grzegorz HałajNaukowa 9/14
    02-469 Warszawa, Poland
    e-mail

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